Study: Buy TATAPOWER when RSI is oversold

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In this study, we evaluate the performance of strategy "Buy TATAPOWER when RSI is oversold" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATAPOWER at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
110417079364345.577905.0132323.33-4195.59-197061.881.580.031318.61
219444379443555.79387.7465863.01-6246.22-17749.311.51.890.0412461.3
315439479403950.6310660.6551287.67-6975.18-16796.561.531.570.0321954.35
418891779433654.4311278.5461369.86-8223.89-20945.951.371.640.0352391.36
528257979473259.4912126.3255780.82-8979.93-29279.281.351.980.0493576.95
624640879453456.9612492.4961698.63-9286.88-36413.541.351.780.0393119.09
722616179463358.2311371.4856109.59-8997.8-30741.081.261.760.0382862.79
823900479443555.711916.7747842.96-8152.39-27081.431.461.840.0433025.37
922212179443555.712718.8959630.48-9643.14-30724.641.321.660.0362811.66
1021100779423753.1614715.9467565.82-11001.68-41891.891.341.520.0282670.98

From the table above, we see that best results are achieved by holding positions for 5 trading days. Profit factor is 1.98. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.49%, which is not acceptable. Avoid this strategy. Average return per trade is 1.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1528257979473259.4912126.3255780.82-8979.93-29279.281.351.980.0493576.95
atrnil38.93333082136409629.4129559.0591601.82-8846.66-25317.923.341.390.0242449.13
atrtrail-15.23204330151579437.7514649.5196252.18-6709.49-25317.922.181.320.0171353.18
atrtrail23.76181060151579437.7514241.2761067.88-6709.49-25317.922.121.290.0181199.07
atrnil25.28195871136518537.518846.1461067.88-9003.32-25317.922.091.260.0191440.22
atrtrail34.54148412151579437.7513668.585728.23-6709.49-25317.922.041.240.014982.86

In the table above, row 1 shows the best exit criterion. Profit factor is 1.98. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 59.49%, which is not acceptable. Avoid this strategy. Average return per trade is 1.79%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.049, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATAPOWER Performance, X=5, Profit Factor:1.98

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2020517 Feb 2020 (-0.1%), 03 Mar 2020 (-14.64%), 18 Mar 2020 (-0.28%), 01 Apr 2020 (13.79%), 11 May 2020 (14.65%)
2019630 Jan 2019 (3.3%), 13 Feb 2019 (2.53%), 07 May 2019 (-1.79%), 30 Jul 2019 (0.68%), 14 Aug 2019 (-3.78%), 10 Dec 2019 (9.05%)
2018502 Feb 2018 (0.29%), 06 Mar 2018 (-0.49%), 21 May 2018 (4.44%), 19 Jun 2018 (2.32%), 08 Oct 2018 (15.85%)
2017108 Aug 2017 (4.86%)
2016103 Feb 2016 (3.77%)
2015427 Mar 2015 (4.67%), 24 Aug 2015 (-2.73%), 07 Sep 2015 (10.06%), 08 Dec 2015 (-3.3%)
2014327 Jan 2014 (0.14%), 13 Aug 2014 (5.42%), 16 Dec 2014 (1.88%)
2013407 Feb 2013 (-2.01%), 23 May 2013 (2.44%), 11 Jun 2013 (1.15%), 06 Aug 2013 (9.52%)
2011531 Jan 2011 (-3.93%), 28 Feb 2011 (7.04%), 09 Aug 2011 (-8.82%), 24 Aug 2011 (-1.74%), 13 Sep 2011 (1.83%)
2010401 Feb 2010 (0.68%), 15 Feb 2010 (1.21%), 25 May 2010 (4.28%), 24 Aug 2010 (-4.46%)
2009105 Mar 2009 (5.49%)
2008422 Jan 2008 (21.16%), 27 Jun 2008 (4.22%), 06 Oct 2008 (3.98%), 24 Oct 2008 (10.24%)
2007128 Feb 2007 (-8.11%)
2006108 Jun 2006 (0.24%)
2005222 Mar 2005 (-0.88%), 20 Oct 2005 (-3.25%)
2004217 May 2004 (20.31%), 04 Jun 2004 (-3.65%)
2002425 Jul 2002 (-5.65%), 08 Aug 2002 (4.31%), 29 Aug 2002 (3.95%), 27 Sep 2002 (0.52%)
2001413 Mar 2001 (27.89%), 03 Sep 2001 (-10.82%), 17 Sep 2001 (5.55%), 04 Oct 2001 (-1.08%)
2000420 Apr 2000 (-13.54%), 08 May 2000 (2.73%), 26 Sep 2000 (-5.01%), 11 Oct 2000 (5.62%)
1999321 Jan 1999 (-1.32%), 15 Feb 1999 (-2.04%), 04 Mar 1999 (-4.19%)
1998205 Jun 1998 (-8.07%), 16 Oct 1998 (6.35%)
1997401 Sep 1997 (2.94%), 16 Sep 1997 (-4.93%), 28 Oct 1997 (3.99%), 12 Nov 1997 (-2.89%)
1996416 Jul 1996 (6.59%), 19 Aug 1996 (3.17%), 27 Sep 1996 (-13.74%), 04 Dec 1996 (7.61%)
1995521 Mar 1995 (6.55%), 27 Apr 1995 (-1.24%), 05 Jul 1995 (5.73%), 30 Aug 1995 (-2.83%), 22 Nov 1995 (-2.36%)



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